We’ve been working with a large US corporate pension fund, who is extremely interested in the Quantopian community’s ability to come up with interesting new factors. They want you to find something that they can’t get anywhere else, so we are asking you to send us your most unique and innovative ideas.
15 winners will share in a total prize pool of $10,000 and will be eligible to potentially have their factors licensed for inclusion in an entirely new strategy!
About the Challenge:
Quantopian is interesting to this pension fund because of the diversity of ideas that come from our community. The pension fund would like to construct an entirely new strategy combining the best unique ideas that fit within their criteria and to provide diversification from their current sources of returns.
This challenge has a new element compared to previous Quantopian challenges: we have been provided with anonymized returns data for several existing strategies that the pension fund uses to evaluate potential new managers. We are providing this obfuscated data to you so that you can check its correlation with your factors. We'll be using this correlation in the final scoring criteria.
This challenge will have a wider set of constraints than previous ones, which should be interesting to many of you. We are looking for factors with the following properties:
- The portfolio must hold at least 100 assets in the QTU.
- There should be a daily turnover of 5% to 20%.
- There are no constraints on risk exposures or beta to SPY, but your exposures must be time-varying — these tilts should be moving daily.
- The specific Sharpe ratio over the first 5 days must be positive.
Post an alpha tearsheet as a reply to this thread to submit to the challenge. To do this, run a backtest on your factor from January 4, 2014, to August 29, 2018. Then run the alpha decay notebook attached to this thread to analyze your backtest results. Note that this notebook is custom for this challenge.
Similar to previous challenges, we will only evaluate only your factor’s end-of-day holdings. For more examples of what we look for, check out our last live tearsheet reviews.
Please avoid combining too many ideas into a single factor. You are free to submit multiple ideas, but keeping them isolated lets us better find the most interesting submissions. The scoring will be based on a combination of the following:
- alpha decay analysis - if your strategy decays too quickly it is more difficult to implement.
- consistency between in-sample and out-of-sample testing.
- uniqueness to the provided benchmark dataset (you can view your uniqueness score at the top of the alpha decay plots).
A total of $10,000 will be awarded as follows:
- 5 winners will receive $1,000 each
- 10 winners will receive $500 each
You will be eligible to win multiple prizes if you have multiple unique ideas that are selected!
The submission deadline for this challenge is March 3, 2020, at 9 a.m. EST.
We look forward to seeing what you produce!
VP of Data Science at Quantopian